SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Harnesses, Lévy bridges and Monsieur Jourdain
5 references·1 citing·20 second hop
Harnesses, Lévy bridges and Monsieur Jourdain (2004)Harnesses, Lévy bridges and Monsieur Jour…Optimal portfolio for an insider in a market driven by Lévy processes§ (2006)Optimal portfolio for an insi…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…A Parallel between Brownian Bridges and Gamma Bridges (2004)A Parallel between Brownian B…Time Reversal on Levy Processes (1988)Time Reversal on Levy Process…Extension of Stochastic Integrals (1987)Extension of Stochastic Integ…Models for Insider Trading with Finite Utility (2007)Models for Insider Trading wi…On Square Integrable Martingales (1967)White noise approach to stochastic integration (1988)MINIMAL VARIANCE HEDGING FOR INSIDER TRADING (2006)Calcul Stochastique et Problèmes de Martingales (1979)Semi-Martingales et Grossissement d’une Filtration (1980)Un Cours sur les Intégrales Stochastiques (2002)Local time–space stochastic calculus for Lévy processes (2005)General Lower Bounds for Arithmetic Asian Option Prices (2008)Financial Modelling with Jump Processes (2003)Limit Theorems for Stochastic Processes (2003)MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES (2005)Electricity Derivatives Pricing with Forward-Looking Information (2013)Stochastic Differential Equations and Diffusion Processes (1983)Continuous Auctions and Insider Trading (1985)Linking Progressive and Initial Filtration Expansions (2013)PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING (2015)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Markovian bridges and reversible diffusion processes with jumps (2004)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2006Optimal portfolio for an insider in a market driven by Lévy processes§78 cited
  • 1987Extension of Stochastic Integrals66 cited
  • 1988Time Reversal on Levy Processes58 cited
  • 2004A Parallel between Brownian Bridges and Gamma Bridges38 cited

Cited by

  • 2007Models for Insider Trading with Finite Utility25 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work